We investigate the phase behavior of symmetric AB diblock copolymers confined into a thin film. The film boundaries are parallel, impenetrable and attract the A component of the diblock copolymer. Using a self-consistent field technique [M. W. Matsen, J. Chem. Phys. 106, 7781 (1997)], we study the ordered phases as a function of incompatibility chi and film thickness in the framework of the Gaussian chain model. For large film thickness and small incompatibility, we find first order transitions between phases with different number of lamellae which are parallel oriented to the film boundaries. At high incompatibility or small film thickness, transitions between parallel oriented and perpendicular oriented lamellae occur. We compare the self-consistent field calculations to Monte Carlo simulations of the bond fluctuation model for chain length N=32. In the simulations we quench several systems from chi N=0 to chi N=30 and monitor the morphology into which the diblock copolymers assemble. Three film thicknesses are investigated, corresponding to parallel oriented lamellae with 2 and 4 interfaces and a perpendicular oriented morphology. Good agreement between self-consistent field calculations and Monte Carlo simulations is found.